限售股解禁、资本运作与股价崩盘风险

doi:10.12094/1002-7246（2017）11-0158-17

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摘要本文以限售股解禁前后大股东的资本运作为视角,基于2007-2014年数据,首先呈现大股东的资本运作方式,然后从其运作机制及经济后果来阐述资本运作的前因后果。研究发现:(1)资本运作方式有八种,其中,股权转让、资产收购和资产剥离最常用,资本运作方式的选择存在同群效应。资本运作多数都会选择在限售股解禁前后。(2)大股东在限售股解禁前后进行资本运作的原因是,希望借助资本运作提高股价,高位减持套现,获取高额收益。(3)资本运作的经济后果是,加剧了股价崩盘风险。本文从理论上证明了配合限售股解禁及减持的资本运作是大股东掏空的一种手段,也证明了这种行为是导致股价崩盘风险的重要因素;从实践上揭示了对中小投资者利益侵害的一种新型隐性方式,揭示了股市动荡的一种重要来源。

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	张晓宇
	徐龙炳

关键词: 限售股解禁资本运作股价崩盘风险

Abstract: From the perspective of capital operation around the expiration of share lockups, this paper reveals a new mechanism of stock market turbulence. Based on the data of 2007-2014, we first present the capital operation modes initiated by blockholders, and then explore the reason, mechanism and consequences of capital operation. The results show that: (1) there are eight types of capital operation, among which equity transfer, asset acquisition and divestiture are most common. Peer effects exist in the type decision-making. Most of the capital operations are initiated around the expiration of share lockups. (2) blockholders can gain profit through improving stock price and selling it at a relatively high price. (3) the economic consequence of doing so is exacerbating stock price crash risk. These results prove that capital operation combined with expiration of share lockups and reduce is a tunneling way, as well as a factor causing stock price crash risk. In practice, this paper reveals a new way to damage interests of small investors, and an important source of stock market volatility.

Key words: Expiration of Share Lockups Capital Operation Stock Price Crash Risk

JEL分类号:

G14

G34

G38

基金资助: 国家自然科学基金项目(71273164, 71473157,71773073)和上海财经大学研究生创新基金项目(CXJJ-2014-317)

作者简介: 张晓宇,经济学博士,上海财经大学金融学院,Email: xyz_sufe@126.com.徐龙炳(通讯作者),经济学博士,教授,上海财经大学金融学院,Email: xlb@mail.shufe.edu.cn.

引用本文:

张晓宇, 徐龙炳. 限售股解禁、资本运作与股价崩盘风险[J]. 金融研究, 2017, 449(11): 158-174.
ZHANG Xiaoyu, XU Longbing. Expiration of Share Lockups, Capital Operation and Stock Price Crash Risk. Journal of Financial Research, 2017, 449(11): 158-174.

链接本文:

http://www.jryj.org.cn/CN/10.12094/1002-7246（2017）11-0158-17 或 http://www.jryj.org.cn/CN/Y2017/V449/I11/158

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